Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets

DOI10.1239/aap/1370870129zbMath1269.91036OpenAlexW2018786965MaRDI QIDQ2837759

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Publication date: 11 July 2013

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1370870129

zbMATH Keywords

stochastic volatilityOrnstein-Uhlenbeck processsubordinatorleverageenergy market

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (5)

Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes ⋮ Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility ⋮ Estimation of time-varying autoregressive stochastic volatility models with stable innovations ⋮ Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets

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